Windows Update through Proxy question

I am in the process of setting up about 5 or so new computers at one of my clients. Now typically before, I will setup the computer, install Office 2003, and then I would like to do Microsoft Update before joining the computer to the domain. I like to join to domain last because I don't want any policies affecting the update as I've seen before.

Now since I'm not joined to the domain, typically I thought I have to put the proxy information manually into the browser, so I do just that. Then when I go to MS updates' website, it asks me for authentication. So I use domainname\administrator and the password... and it lets me through. I get either Express or Custom. If I do express it will ask me for authentication again, and then sometimes it works and sometimes it doesn't. Same thing with custom, sometimes it works when I authenticate, and sometimes Windows Update tells me it fails.

The first computer I worked on I don't even think it asked me... I didn't do anything out of the ordinary, but the second computer just didn't work the same, and WU decided it was going to tell me it failed (I don't have the exact error).

What kind of problems are there with going through a proxy (ISA Server 2004) and how can I resolve problems like this? The second computer I had to bail on and WU appeared to not be working like I thought it would (got through the first 3 setup files but wouldn't scan the computer for the normal updates) so I set Automatic Update to download at 11pm...